This is an excellent article geared towards those coming from windoze. Please read this first it will help set your expectations of linux and hopefully help you stick it out through the times when things are just not working out.

For 'real' gaming things like VMware and VirtualBox are way too slow because they have too much overhead (they simulate an entire PC). For such stuff WINE or Cedega are better suited (they just emulate the API; games think they're running on Windows + DirectX).